Search Results - subject:"local to unity"

Inference in predictive quantile regressions

Maynard, Alex; Shimotsu, Katsumi; Kuriyama, Nina - In: Journal of econometrics 245 (2024) 1/2, pp. 1-17

Persistent link: https://www.econbiz.de/10015553752

Stochastic local and moderate departures from a unit root and its application to unit root testing

Nishi, Mikihito; Kurozumi, Eiji - 2022

Persistent link: https://www.econbiz.de/10013364485

Long run predictions

Gouriéroux, Christian; Jasiak, Joann - In: Annals of economics and statistics 145 (2022), pp. 75-90

Persistent link: https://www.econbiz.de/10013464960

Modeling long cycles

Kang, Da Natasha; Marmer, Vadim - In: Journal of econometrics 242 (2024) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10015075200

Estimation and inference with near unit roots

Phillips, Peter C. B. - 2021

Persistent link: https://www.econbiz.de/10012807742

Latent local-to-unity models

Wang, Xiaohu; Yu, Jun - In: Econometric reviews 42 (2023) 7, pp. 586-611

Persistent link: https://www.econbiz.de/10014321656

Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 73-95). 2023

local to unity processes with errors being fractional Gaussian noise (FGN) with the Hurst parameter <mml:math xmlns … the same as that obtained in Phillips (1987a) for the local to unity model with errors for which the standard functional …

Persistent link: https://www.econbiz.de/10014313249

Low frequency robust cointegrated regression in the presence of a near-unity regressor

Hwang, Jungbin; Valdés, Gonzalo - 2020

Persistent link: https://www.econbiz.de/10012214074

On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors

Stauskas, Ovidijus - 2019

asymptotic theory of the local to unity and mildly explosive processes, they construct a Wald test for the commonality of the …

Persistent link: https://www.econbiz.de/10013208843

Generalized forecast averaging in autoregressions with a near unit root

Kejriwal, Mohitosh; Yu, Xuewen - 2019

Persistent link: https://www.econbiz.de/10012139722